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Operators associated with a stochastic differential equation driven by fractional Brownian motions

In this paper, by using a Taylor type development, we show how it is possible to associate differential operators with stochastic differential equations driven by fractional Brownian motions. As an application, we deduce that invariant measures for such SDE's must satisfy an infinite dimensional system of partial differential equations.
Year of publication:
2007
Authors: Baudoin, Fabrice ; Coutin, Laure
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 117.2007, 5, p. 550-574
Publisher: Elsevier
Keywords: Fractional Brownian motion Rough paths theory Stochastic differential equation
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008875691
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